IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v22y2012i8p597-609.html
   My bibliography  Save this article

Pre-trade transparency and trade size

Author

Listed:
  • Maria Elena Bontempi
  • Caterina Lucarelli

Abstract

We analyse how Pre-Trade Transparency (PTT) affects the behaviour of different stock traders. To do so, we exploit a natural experiment, that is the PTT change in the equity segment of Italian Stock Exchange (ISE) which occurred in July 2007, with the aim of reducing information asymmetries between individuals and intermediaries/institutional investors. We specify a dynamic empirical model for trade size and estimate it on a large panel of tick-by-tick data. Results suggest that increased transparency affects the dynamic trade pattern emerging from interacting strategic decisions of different traders. In addition, the contribution of the order flow disclosure both in reducing the adverse selection component of the bid--ask spread, and in weakening the sensitiveness to risk of the trade size also emerges. Overall, PTT enhancement should reduce the informative disequilibrium among market participants and improve the quality of the market.

Suggested Citation

  • Maria Elena Bontempi & Caterina Lucarelli, 2012. "Pre-trade transparency and trade size," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 597-609, April.
    • Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:597-609
    DOI: 10.1080/09603107.2011.619497
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09603107.2011.619497
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603107.2011.619497?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
    2. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
    3. Barbara Rindi, 2008. "Informed Traders as Liquidity Providers: Anonymity, Liquidity and Price Formation," Review of Finance, European Finance Association, vol. 12(3), pages 497-532.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lin, Yaling, 2014. "An empirical study on pre-trade transparency and intraday stealth trading," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 26-40.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Averi Chakrabarti & Karen A Grépin & Stéphane Helleringer, 2019. "The impact of supplementary immunization activities on routine vaccination coverage: An instrumental variable analysis in five low-income countries," PLOS ONE, Public Library of Science, vol. 14(2), pages 1-11, February.
    2. Harold Alderman & John Hoddinott & Bill Kinsey, 2006. "Long term consequences of early childhood malnutrition," Oxford Economic Papers, Oxford University Press, vol. 58(3), pages 450-474, July.
    3. Germán Bet & Cecilia Peluffo, 2023. "Democracy, commodity price booms, and infant mortality," Empirical Economics, Springer, vol. 64(1), pages 153-193, January.
    4. Yashar Tarverdi & Anu Rammohan, 2017. "On the role of governance and health aid on child mortality: a cross-country analysis," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 845-859, February.
    5. Na Li & Richard J. Vyn & Ken McEwan, 2016. "To Invest or Sell? The Impacts of Ontario’s Greenbelt on Farm Exit and Investment Decisions," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 38(3), pages 389-412.
    6. Jesus Ferreiro & Carmen Gomez, 2022. "Employment protection, employment and unemployment rates in European Union countries during the Great Recession," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 25(3), pages 240-258, July.
    7. Huh, Yesol & Kim, You Suk, 2023. "Cheapest-to-deliver pricing, optimal MBS securitization, and welfare implications," Journal of Financial Economics, Elsevier, vol. 150(1), pages 68-93.
    8. Peter John Robinson & W. J. Wouter Botzen, 2022. "Setting descriptive norm nudges to promote demand for insurance against increasing climate change risk," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(1), pages 27-49, January.
    9. Robert Moffitt & John Abowd & Christopher Bollinger & Michael Carr & Charles Hokayem & Kevin McKinney & Emily Wiemers & Sisi Zhang & James Ziliak, 2022. "Reconciling Trends in U.S. Male Earnings Volatility: Results from Survey and Administrative Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 1-11, December.
    10. Ji Yan & Sally Brocksen, 2013. "Adolescent risk perception, substance use, and educational attainment," Journal of Risk Research, Taylor & Francis Journals, vol. 16(8), pages 1037-1055, September.
    11. Sènakpon Fidèle A. Dedehouanou & Luca Tiberti & Hilaire G. Houeninvo & Djohodo Inès Monwanou, 2019. "Working while studying: Employment premium or penalty for youth in Benin?," Working Papers PMMA 2019-03, PEP-PMMA.
    12. Mengyuan Zhou, 2022. "Does the Source of Inheritance Matter in Bequest Attitudes? Evidence from Japan," Journal of Family and Economic Issues, Springer, vol. 43(4), pages 867-887, December.
    13. Vuong, Nguyen & Chen, Xuan, 2018. "The Economic Returns to Communist Party Membership: Evidence from the Vietnamese Labor Market," 2018 Annual Meeting, August 5-7, Washington, D.C. 274121, Agricultural and Applied Economics Association.
    14. Sandra Müllbacher & Wolfgang Nagl, 2017. "Labour supply in Austria: an assessment of recent developments and the effects of a tax reform," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(3), pages 465-486, August.
    15. Campbell, Randall C. & Nagel, Gregory L., 2016. "Private information and limitations of Heckman's estimator in banking and corporate finance research," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 186-195.
    16. Giuliani, Elisa & Martinelli, Arianna & Rabellotti, Roberta, 2016. "Is Co-Invention Expediting Technological Catch Up? A Study of Collaboration between Emerging Country Firms and EU Inventors," World Development, Elsevier, vol. 77(C), pages 192-205.
    17. Maurice Mutisya & Moses W. Ngware & Caroline W. Kabiru & Ngianga-bakwin Kandala, 2016. "The effect of education on household food security in two informal urban settlements in Kenya: a longitudinal analysis," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 8(4), pages 743-756, August.
    18. Kupfer, David & Avellar, Ana Paula, 2011. "Innovation and cooperation: evidence from the Brazilian innovation survey," Documentos de Proyectos 3900, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    19. Ilona Babenko & Benjamin Bennett & John M Bizjak & Jeffrey L Coles & Jason J Sandvik, 2023. "Clawback Provisions and Firm Risk," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 12(2), pages 191-239.
    20. Heredia Pérez, Jorge A. & Geldes, Cristian & Kunc, Martin H. & Flores, Alejandro, 2019. "New approach to the innovation process in emerging economies: The manufacturing sector case in Chile and Peru," Technovation, Elsevier, vol. 79(C), pages 35-55.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:597-609. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.